A full Opening Read, frozen in place.
One complete trading day of the sheet, so you can see every part filled in: prior session levels and value area, the Asia range, the London open, overnight inventory, VWAP bands and the first 30 minutes.
ES E-mini S&P 500
Session Fri, Oct 23. Open stage: the session has opened, with its location and the first 30 minutes read. Each level is shown with its distance from the last price at Fri, Oct 23, 4:04 PM ET, in points and in MSR (mean session range, 69.50 points over the last 3 sessions).
Prior session, Thu, Oct 22 09:30 to 16:00 ET
| High | 7742.50, 80.00 above (1.15 MSR) |
|---|---|
| Low | 7676.75, 14.25 above (0.21 MSR) |
| Close | 7706.25, 43.75 above (0.63 MSR) |
| Midpoint | 7709.75, 47.25 above (0.68 MSR) |
| Range | 65.75 points |
| Session VWAP (volume-weighted average price)What it reads. The average price traded since an anchor, weighted by how much volume traded at each price.How it is computed. VWAP = Σ(price × volume) ÷ Σ(volume) from the anchor, often the session open. Charts usually price a bar at (high + low + close) ÷ 3.Why that information matters. It is the average price paid since the anchor, a reference both sides of the market can see.What it does not tell you. It depends on the anchor and it lags: it describes trade already done, not where price goes.Full entry → | 7702.25, 39.75 above (0.57 MSR) |
| Value area (VAH, VAL)What it reads. The price band around the POC that holds 70% of a session’s volume. Its top is VAH and its bottom VAL.How it is computed. Start at the POC and extend toward the heavier neighbouring rows, one step at a time, until the band holds 70% of the total.Why that information matters. Its edges are where the prior session’s accepted prices end, so opens and closes are described against them.What it does not tell you. The 70% is a convention: a different percentage or row height moves both edges.Full entry → high | 7707.25, 44.75 above (0.64 MSR) |
| Point of control (POC)What it reads. The single price row where the most volume traded in a session.How it is computed. The row holding the largest volume in the profile, read once the session has closed for a prior-session profile.Why that information matters. It is where the session agreed on price most, the reference the value area is built outward from.What it does not tell you. Heavy volume at a price is a record, not a magnet: it carries no claim that price returns there.Full entry → | 7691.25, 28.75 above (0.41 MSR) |
| Value area low | 7682.50, 20.00 above (0.29 MSR) |
Value area from one-minute bars, each minute’s volume spread across its range in rows of 0.25 points, 70% of the volume around the point of control.
Asia range 18:00 to 03:00 ET
| High | 7714.25, 51.75 above (0.74 MSR) |
|---|---|
| Low | 7685.00, 22.50 above (0.32 MSR) |
| Width | 29.25 points |
| Against the average width | 0.60 times the mean of the last 2 Asia sessions (48.75 points) |
London open from 03:00 ET
London opened in the middle third of the Asia range. Since then it has not traded above the Asia high and traded below the Asia low. Against the prior session range the open sat in its middle third.
Overnight 18:00 to 09:30 ET
| High | 7714.25, 51.75 above (0.74 MSR) |
|---|---|
| Low | 7660.00, 2.50 below (0.04 MSR) |
| Range | 54.25 points |
| Inventory | SHORT INVENTORY 14% of overnight minutes closed above the prior session close |
| Latest overnight print | in the lower third of the overnight range, below prior value |
Globex VWAP and bands from 18:00 ET
| 7676.00, 13.50 above (0.19 MSR) | |
| plus 1 and 2 SD | 7690.00, 27.50 above (0.40 MSR), 7704.25, 41.75 above (0.60 MSR) |
| minus 1 and 2 SD | 7661.75, 0.75 below (0.01 MSR), 7647.50, 15.00 below (0.22 MSR) |
| One standard deviation | 14.25 points |
The open 09:30 ET and the first 30 minutes
| Open | 7661.25, 1.25 below (0.02 MSR) |
|---|---|
| Open location | OPEN BELOW RANGEWhat it reads. The session opened below the whole of the prior session’s range.How it is computed. open < prior session low, checked on the session’s first bar.Why that information matters. The open is at prices the prior session never traded, so none of its structure sits underneath.What it does not tell you. An open below the range is a location, not a forecast of follow-through or of a return.Full entry → |
| Gap from the prior close | -45.00 points, 0.65 MSR |
| First 30 minutes | TEST THEN UP range 20.75 points, closed at 87% of it, the low printed first |
| Session | 7672.25, 9.75 above (0.14 MSR) |
|---|---|
| Session plus 1 and 2 SD | 7683.50, 21.00 above (0.30 MSR), 7695.00, 32.50 above (0.47 MSR) |
| Session minus 1 and 2 SD | 7660.75, 1.75 below (0.03 MSR), 7649.25, 13.25 below (0.19 MSR) |
| One standard deviation | 11.50 points |
NQ E-mini Nasdaq 100
Session Fri, Oct 23. Open stage: the session has opened, with its location and the first 30 minutes read. Each level is shown with its distance from the last price at Fri, Oct 23, 4:04 PM ET, in points and in MSR (mean session range, 471.75 points over the last 3 sessions).
Prior session, Thu, Oct 22 09:30 to 16:00 ET
| High | 29594.75, 458.75 above (0.97 MSR) |
|---|---|
| Low | 29033.00, 103.00 below (0.22 MSR) |
| Close | 29145.75, 9.75 above (0.02 MSR) |
| Midpoint | 29314.00, 178.00 above (0.38 MSR) |
| Range | 561.75 points |
| Session | 29283.75, 147.75 above (0.31 MSR) |
| high | 29365.00, 229.00 above (0.49 MSR) |
| 29290.50, 154.50 above (0.33 MSR) | |
| Value area low | 29079.00, 57.00 below (0.12 MSR) |
Value area from one-minute bars, each minute’s volume spread across its range in rows of 1.00 points, 70% of the volume around the point of control.
Asia range 18:00 to 03:00 ET
| High | 29243.50, 107.50 above (0.23 MSR) |
|---|---|
| Low | 29022.75, 113.25 below (0.24 MSR) |
| Width | 220.75 points |
| Against the average width | 0.64 times the mean of the last 2 Asia sessions (346.00 points) |
London open from 03:00 ET
London opened in the upper third of the Asia range. Since then it has traded above the Asia high and traded below the Asia low. Against the prior session range the open sat in its lower third.
Overnight 18:00 to 09:30 ET
| High | 29279.00, 143.00 above (0.30 MSR) |
|---|---|
| Low | 29006.00, 130.00 below (0.28 MSR) |
| Range | 273.00 points |
| Inventory | BALANCED 45% of overnight minutes closed above the prior session close |
| Latest overnight print | in the lower third of the overnight range, below prior value |
Globex VWAP and bands from 18:00 ET
| 29161.25, 25.25 above (0.05 MSR) | |
| plus 1 and 2 SD | 29232.00, 96.00 above (0.20 MSR), 29302.50, 166.50 above (0.35 MSR) |
| minus 1 and 2 SD | 29090.50, 45.50 below (0.10 MSR), 29019.75, 116.25 below (0.25 MSR) |
| One standard deviation | 70.75 points |
The open 09:30 ET and the first 30 minutes
| Open | 29029.25, 106.75 below (0.23 MSR) |
|---|---|
| Open location | |
| Gap from the prior close | -116.50 points, 0.25 MSR |
| First 30 minutes | TEST THEN UP range 188.50 points, closed at 97% of it, the low printed first |
| Session | 29174.25, 38.25 above (0.08 MSR) |
|---|---|
| Session plus 1 and 2 SD | 29246.75, 110.75 above (0.23 MSR), 29319.50, 183.50 above (0.39 MSR) |
| Session minus 1 and 2 SD | 29101.50, 34.50 below (0.07 MSR), 29028.75, 107.25 below (0.23 MSR) |
| One standard deviation | 72.75 points |
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What it reads, and how it is computed.
What it reads
Our own one-minute candles for the ES and NQ front contracts, recorded through the day and night. Nothing is typed in and nothing comes from a third-party feed. Sessions follow the New York clock: the Globex day starts at 18:00 ET, Asia runs to 03:00, London to 09:30 and the RTH (regular trading hours)What it reads. The slice of the session that matches US stock-market hours: 09:30 to 16:00 ET for US equity products.How it is computed. A clock window on the exchange calendar. For a CME equity future, a slice of the longer electronic session.Why that information matters. Opening ranges and prior-day levels are often cut from RTH alone, so the window behind a level changes its meaning.What it does not tell you. It is a time window, not a measurement. An early-close day is still RTH while it lasts.Full entry → to 16:00.
How it is computed
- Overnight inventory
- The share of overnight minutes (18:00 to 09:30 ET) that closed above the prior session close. 70% or more reads LONG INVENTORY, 30% or less reads SHORT INVENTORY, anything between reads BALANCED.
- First 30 minutes
- R is the high minus the low from 09:30 to 10:00 ET. A close in the top 30% of R with a pullback from the open of 15% of R or less reads DRIVE UP. A close in the top 30% after the low printed first reads TEST THEN UP. The bottom 30% mirrors both as DRIVE DOWN and TEST THEN DOWN. Everything else reads TWO-SIDED.
- Open location
- Where the 09:30 print sits against the prior session range and value area: above range, above value, inside value, below value or below range. A print exactly on an edge counts as the inner side.
- Distances and MSR
- Each level is printed with its distance from the last price when the sheet was built. MSR is the mean session range, the average high minus low of the regular sessions on our tape, so 0.50 MSR is half a typical day’s travel.
- Thirds
- Upper, middle and lower thirds split a range into three equal parts by price.
- VWAP bands
- VWAP is the volume-weighted average of each minute’s typical price, (high plus low plus close) divided by 3. One SD is the volume-weighted standard deviation of those typical prices around VWAP.
Worked example: on Fri, Oct 23 14% of ES overnight minutes closed above the prior session close, so the sheet read SHORT INVENTORY.
Why that information matters
These are the reference points most session plans start from. Seeing where the night traded against yesterday, and how the first half hour behaved, turns a blank chart into a short list of levels to find on your own chart and a plain description of the open.
What it does not tell you
Every word on this sheet is a definition, not a measurement. Nothing on it was tested against what happened next, and none of it says where price goes. A part of the sheet only appears when every minute it needs is on our tape, so nothing on it is filled in by guesswork. This is a description of the session, not advice.
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